VIX Options

N

numerophile

1) Where can I buy VIX options?

2) If I can predict on a one day time frame which direction the VIX is going will VIX options make sense?

3) What type of liquidity do options have?

Background, I am an equity trader who has a high return model that unfortunately has a high corr to S&P. I would like to use my quantitative model to predict VIX and bring down my corr.

Thanks
 
Hello,

VIX options were supposed to launch on April 22, but have been postponed indefinitely. Apparently, the market makers don't believe the Black-Scholes options model is a good representation of how the VIX trades. And they're having a hard time finding a suitable model.

I wonder if they'll ever trade at all. I was told that the options, if they do trade, will behave more like the VIX futures than regular options. I hope not, but we'll have to see.
 
If all you want to do is to lower your correlation to S&P, you can trade e-minis against your portfolio, or if you like options, you can trade the SPX index options, or SPY options both are quite liquid.
Tip: PUT options are a good VIX play, because as you must be aware, VIX is negatively correlated to S&P.
 
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